Affine term structure models: A time‐change approach with perfect fit to market curves-Reference-Cited by-同舟云学术

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Affine term structure models: A time‐change approach with perfect fit to market curves

Published:2022-01-06 Issue:2 Volume:32 Page:678-724
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Mbaye Cheikh¹^ORCID,Vrins Frédéric¹²^ORCID

Affiliation:

1. UCLouvain LFIN/LIDAM Ottignies‐Louvain‐la‐Neuve Belgium

2. HEC Montréal Department of Decision Sciences Montréal Canada

Funder

Fédération Wallonie-Bruxelles

Fonds De La Recherche Scientifique - FNRS

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12342

Reference53 articles.

1. Bielecki T. Jeanblanc M. &Rutkowski M.(2011).Credit risk modeling(Technical report). Center for the Study of Finance and Insurance Osaka University.

2. Interest Rates as Options

3. Evaluation of counterparty risk for derivatives with early-exercise features

4. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

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